Two 'workshop' pieces in the May 1997 Astin Bulletin give a good
working introduction to using extreme value theory (some theory along
with analytical tools for making parameter estimates):
1. A.J. McNeil, Estimating the Tails of loss severity Distributions
Using Extreme Value Theory, pg. 117
2. S.I. Resnick, Discussion of the Danish Data on Large Fire Insurance
Losses, pg. 139
Tom Coatney
Employers Reinsurance Corp.
Tom.Coatney@ercgroup.com
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